Below is a weekly summary of our research findings for 4/3/23 through 4/6/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked about practical exploitation of the hypothesis that the high and low of an exchange-traded fund (ETF) during 9:30AM-10:30AM are informative about its high and low during 10:31AM-4PM. To investigate, we obtain minute-by-minute open,...
How does the U.S. stock return factor zoo, corrected for data snooping bias, change over time? In their March 2023 draft paper entitled “Useful Factors Are Fewer Than You Think”, Bin Chen, Qiyang Yu and...
Is model complexity (large number of parameters) more an analytical benefit in predicting asset returns, or more an avenue to discover in-sample luck? In their March 2023 paper entitled “Complexity in Factor Pricing Models”, Antoine...
Below is a weekly summary of our research findings for 3/27/23 through 3/31/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked about backtesting two alternatives to equal weight (EW) for the Simple Asset Class ETF Momentum Strategy (SACEMS) Top 2 and Top 3 portfolios, as follows: Fixed Weighted: For Top 2, 66% allocation...
Do hedge funds rapidly move to exploit, and thereby weaken/extinguish, newly discovered stock return anomalies? In the December 2022 version of their paper entitled “Anomaly Discovery and Arbitrage Trading”, Xi Dong, Qi Liu, Lei Lu,...
Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI...
Are their practical ways to suppress the sometimes large reduction in academic (gross) equity factor premiums due to trading frictions and other implementation obstacles? In their March 2023 paper entitled “Smart Rebalancing”, Robert Arnott, Feifei...
Below is a weekly summary of our research findings for 3/20/23 through 3/24/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the difference in individual stock/market return relationships between good times (relatively low correlations) and bad times (relatively high correlations) present an easy and efficient way to hedge against stock market crashes (tail risk)? In...
A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares...
A subscriber proposed using Minervini Trend Template criteria to time broad U.S. stock market proxies such as SPDR S&P 500 ETF Trust (SPY). Specifically, use leveraged versions of SPY when SPY meets the following seven...
Do good firm environmental, social and governance (ESG) ratings signal attractive stock returns? If so, what is the best way to exploit the signals? In their February 2023 paper entitled “Quantifying the Returns of ESG...
Below is a weekly summary of our research findings for 3/13/23 through 3/17/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper...
Can machine learning perfect equity sector rotation? In the January 2023 version of their paper entitled “Deep Sector Rotation Swing Trading”, flagged by a subscriber, Joel Bock and Akhilesh Maewal present a sector rotation strategy...
Below is a weekly summary of our research findings for 3/6/23 through 3/10/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way to restore/enhance the relevance to investors of the Fed model, which is based on a putative investor-driven positive relationship between stock market earnings yield (equity earnings-to-price ratio) and U.S. Treasury bond...
Can investors use volatility signals to identify short-term stock market trend changes? In his February 2023 paper entitled “Using Volatility to Add Alpha and Control Portfolio Risk”, John Rothe uses Welles Wilder’s Average True Range...
Below is a weekly summary of our research findings for 2/27/23 through 3/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Weekly Economic Index (WEI) is a composite of weekly year-over-year percentage changes in 10 economic indicators: Redbook same-store sales; Rasmussen Consumer Index; new claims for unemployment insurance; continued claims for unemployment insurance; adjusted income/employment...
Below is a weekly summary of our research findings for 2/21/23 through 2/24/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do factor investing (smart beta) mutual funds capture for investors the premiums found in academic factor research? In their November 2022 paper entitled “Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance”, Martijn Cremers,...
Is portfolio downside risk better manageable by combining drawdown and recovery into a single “submergence” metric? In their February 2023 paper entitled “Submergence = Drawdown Plus Recovery”, Dane Rook, Dan Golosovker and Ashby Monk present...